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Credit Channel of Monetary Policy Transmission in Russia

Author

Listed:
  • Leontieva, E.A.

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Gaidar Institute for Economic Policy)

  • Perevyshin, Y.N.

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

This study investigates the transmission of monetary policy onto retail bank interest rates in Russia. The paper reviews theoretical approaches of interest rate pass-through, the reasons for its incompleteness. Our estimates, based on ECM, show incomplete interest rate pass-through from MIACR to retail deposit rates in Russia in 2010-2014. The possible reasons of incomplete interest rate pass-through are imperfect substitution between bank deposits and other types of savings and weak competition within the Russian banking sector. Also we analyze how monetary policy of The Central Bank of Russian Federation influences the bank lending in Russia in 2010-2014. We use two approaches: cointegration analysis of macroeconomic data and panel regression on individual banks balance data. We show that monetary policy instruments (interest rate on auction REPO and volumes of refinancing operations) have affected bank lending at that time.

Suggested Citation

  • Leontieva, E.A. & Perevyshin, Y.N., 2015. "Credit Channel of Monetary Policy Transmission in Russia," Published Papers 431505, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:ppaper:431505
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    More about this item

    Keywords

    monetary policy; market interest rates; commercial banks; banking loans; interest rate pass-through; credit channel;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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